Cross Currency Swap Trading & Pricing Formulae - A PowerPoint Overview with Excel Pricing Examples
30 Pages Posted: 6 May 2019
Date Written: March 26, 2019
This document provides a summary of the more detailed cross pricing paper, see https://ssrn.com/abstract=3278907.
We present a PowerPoint overview of cross currency swaps (Xccy Swaps) and the pricing formula as seen from a trading perspective. Firstly we outline swap preliminaries, reviewing interest rate swaps, yield curve construction, rates trading, pricing & risk. Secondly we outline and give a breakdown of the cross currency swap pricing formula and provide Excel pricing examples.
Keywords: Cross Currency Swaps, Xccy Swaps, Trading, Pricing Formula, PowerPoint Overview, Excel Pricing Examples, Rates Trading, Interest Rate Swaps, Yield Curve Construction
JEL Classification: A22, A23, C02, G10, G12, G15, G20, G21, G23, G30, G31
Suggested Citation: Suggested Citation